System and Method for Electronic Spread Trading in Real and Synthetically Generated Markets

ABSTRACT

A system and method are provided to analyze synthetic and real markets that offer interchangeable tradeable objects to find market opportunities that a trader may capitalize on. A synthetic market is an electronic market created out of real markets by a computer terminal or gateway. A real market is an electronic market that is offered by an electronic exchange. If a desirable market opportunity is found, the preferred embodiments can take action such as by sending orders to either one of the markets, or by sending orders to both markets. An advantage of the preferred embodiments, among many others, is that they can make “invisible” trading opportunities more readily apparent.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.14/796,247, filed on Jul. 10, 2015, which is a continuation of U.S.patent application Ser. No. 14/103,821, filed on Dec. 11, 2013, now U.S.Pat. No. 9,135,660, which is a continuation of U.S. patent applicationSer. No. 12/765,801, filed on Apr. 22, 2010, now U.S. Pat. No.8,630,939, which is a continuation of U.S. patent application Ser. No.11/415,959, filed on May 2, 2006, now U.S. Pat. No. 7,734,532, which isa continuation of U.S. patent application Ser. No. 10/727,466, filed onDec. 4, 2003, now U.S. Pat. No. 7,113,924, the contents of each of whichare fully incorporated herein by reference for all purposes.

FIELD OF INVENTION

The present embodiments relate to a computer-based method and system foruse in electronic trading, and in particular, for use in trading anyproduct with a quantity and/or price.

BACKGROUND

At one time, there were only open-outcry exchanges where traders, ormore specifically buyers and sellers, would come together to trade inperson. With the advent of electronic trading, traders may participateat their computer terminals from remote distances by communicating overphysical networks with electronic exchanges that automatically matchbids and offers.

FIG. 1 is provided to illustrate an example of an electronic tradingsystem. As shown, electronic trading system 100 includes one or moreelectronic exchanges generally indicated as 102 in communication withone or more computer terminals generally indicated as 104 via any typeof network-based protocols. Intermediate devices such as gatewaysgenerally indicated as 108, routers (not shown), and other such types ofnetwork devices may be used to connect various computer networks 110 sothat computer terminals 104 and electronic exchanges 102 cancommunicate. Of course, other types of configurations known in the artmay be used to connect buyers and sellers in place of, or in additionto, electronic trading system 100.

Electronic exchanges 102 represent any type of electronic forum thatfacilitates electronic trading. Electronic exchanges 102 are generallybased on computers that perform, among other things, order matching,maintain order books, positions, and price information. Some examples ofelectronic exchanges 102 include the London International FinancialFutures and Options Exchange (LIFFE), the Chicago Board of Trade (CBOT),the New York Stock Exchange (NYSE), the Chicago Mercantile Exchange(CME), the Exchange Electronic Trading (“Xetra,” a German stockexchange), and the European Exchange (“Eurex”). Electronic exchanges 102might also refer to other software and/or hardware based facilities,which include basic to complex systems that automatically match incomingorders.

Each of electronic exchanges 102 may host one or more electronic marketssuch that each electronic market provides a place to trade a tradeableobject. As used herein, the term “tradable objects,” refers simply toanything that can be traded with a quantity and/or price. It includes,but is not limited to, all types of tradable objects such as financialproducts, which can include, for example, stocks, options, bonds,futures, currency, and warrants, as well as funds, derivatives andcollections of the foregoing, and all types of commodities, such asgrains, energy, and metals. The tradable object may be “real,” such asproducts that are listed by an exchange for trading, or “synthetic,”such as a combination of real products that is created by the user. Atradable object could actually be a combination of other tradableobjects, such as a class of tradable objects.

Any type of computer-based order matching algorithm may be used to matchorders in a given electronic market; sometimes the type of algorithmdepends on the tradeable object being traded. For sake of illustration,some example order execution algorithms include price/time priority(sometimes also referred to as first-in-first-out or FIFO) and prorata-style algorithms. The FIFO algorithm, used for some markets listedwith Eurex for example, attempts to give priority to the first person toplace an order. The pro rata algorithm, used for some markets listedwith LIFFE for example, splits all (or most) orders for the same priceat a particular point in time.

Regardless of the type of matching algorithm used, each of theelectronic markets may provide similar types of market information tosubscribing computer terminals 104. At the very least, marketinformation includes data that represents just the inside market. Theinside market is the lowest sell price (best ask) and the highest buyprice (best bid) available in the market. Market information may alsoinclude market depth. Market depth refers to quantities available at theinside market and can refer to quantities available at other prices awayfrom the inside market. The quantity available at a given price level isusually provided by the electronic exchanges 102 in aggregate sums. Theextent of the market depth available to a trader usually depends on theelectronic exchanges 102. For instance, some exchanges provide marketdepth for all (or most) price levels, while some provide only quantitiesassociated with the inside market, and others may provide no marketdepth at all. Additionally, electronic exchanges 102 can offer othertypes of market information such as the last traded price (LTP), thelast traded quantity (LTQ), and order fill information.

Gateways 108 are intermediate computer devices that receive marketinformation from electronic exchanges 102 and convert it to a formcompatible with the protocols used by computer terminals 104, andvice-versa, using conversion techniques known in the art. Also, as knownby those of ordinary skill in the art, gateways 108 may have one or moreserver programs to support the data feeds passing between computerterminals 104 and electronic exchanges 102, such as a price server forproviding the market information, an order server for processingtransaction information, and a fill server for processing fillinformation. Transaction information includes inputs from computerterminals 104 to electronic exchanges 102 and may include, among otherthings, orders, order changes, and queries.

Computer terminals 104 are computers that provide an interface fortraders to trade at one or more electronic markets listed with one,some, or all of electronic exchanges 102. Some examples of computerterminals include a personal computer, laptop computer, hand-heldcomputer, or any computing device with a processor and mechanism forelectronic storage. Computer terminals 104 logged on to trade canreceive market information. The market information may be displayed tothe trader(s) on a visual output device or display device. In addition,a trader may receive news 106 to aid in analyzing information receivedfrom the exchange. Upon viewing the market information or a portionthereof, a trader may wish to send orders to an electronic market,cancel orders in an electronic market, change orders in a electronicmarket, query an electronic exchange, and so on. Traders might useautomated software tools to assist them in their trading.

Using computer terminals 104, traders can implement various tradingstrategies including those previously used on the floor of an exchange.Such strategies incorporated into an electronic marketplace can improvethe speed, accuracy, and ultimately the profitability of tradingelectronically. One such trading strategy is spread trading.

In general, spread trading is the buying and/or selling of two or moretradeable objects, the purpose of which is to capitalize on changes ormovements in the relationships between the tradeable objects. Thetradeable objects that are used to complete a spread are referred to asthe outright markets or legs of the spread. A spread trade could involvebuying tradeable objects, buying and selling tradeable objects, sellingtradeable objects or some combination thereof.

However, spread trading may involve risk. For example, to achieve aspread differential, a trader typically works orders in two or moredifferent markets. An order in one of those markets may fill, but themarket conditions could change in another market, leaving the offsettingorder unfilled and the spread incomplete. This results in the tradingbeing “legged up,” because only one side of the spread transaction iscomplete. As a result, the trader might lose lots of money to completethe transaction at an undesirable price, or remain unhedged totally.

To avoid some of these risks, traders may trade in exchange providedspread markets. Electronic exchanges have introduced spread markets thatguarantee the trader will not be “legged up” by taking certainprecautions, for example. Accordingly, those exchange-provided-spreadsmight behave differently than if they did not provide this “no-legged”up guarantee. The different behavior expressed by these types ofexchange-provided-spreads might result in less aggressive and lessriskier trading than through conventional spread trading where thetrader works orders in multiple markets to achieve a spread differentialupon execution. However, this might also result in less profit thanspread trading in the more conventional way.

BRIEF DESCRIPTION OF THE DRAWINGS

Many aspects of the present embodiments may be better understood withreference to the following drawings. The components in the drawings arenot necessarily to scale, emphasis instead being placed uponillustrating example embodiments.

FIG. 1 illustrates example network connections between multipleelectronic exchanges and client sites according to a typical tradingsystem configuration;

FIG. 2 illustrates an example schematic of a market comparator alongwith an operating system and hardware components of a computer device;

FIG. 3 is a diagram showing the communication of real market data tocomputer terminals for use in evaluation by the system of FIG. 2;

FIG. 4 is a flowchart illustrating a process for trading using thesystem of FIG. 2;

FIG. 5 is a flowchart illustrating another process for trading using thesystem of FIG. 2; and

FIG. 6 illustrates example screen displays showing market informationfor a synthetic market and for a real market of a given tradeable objectbeing traded.

DETAILED DESCRIPTION I. Overview

The present invention includes methods, systems, and computer programproducts that provide tools for use in electronic trading. The preferredembodiments may be put to advantageous use in any type of electronictrading environment. By using the preferred embodiments, for example, atrader's efficiency may be increased and the time it takes to uncover“invisible” trading opportunities and take advantage of thoseopportunities may be reduced.

In a preferred embodiment, real markets and synthetic markets, whichboth offer interchangeable products, are analyzed to find marketopportunities that the trader may capitalize on. As used herein, asynthetic market is an electronic market created out of real markets bya computer terminal or gateway, for instance, rather than at anelectronic exchange. Whereas, a real market is an electronic market thatis offered by an electronic exchange. An advantage of the preferredembodiments is that the trader may now take advantage more easily ofunique market opportunities that might exist in the real and syntheticmarkets, rather than just looking to one market or anotherindependently.

As such, if a desirable trading opportunity arises from the evaluationin any one of the electronic markets (e.g., real markets and syntheticmarkets), then orders may be directed from the one market to another,orders may be sent to multiple markets simultaneously, arbitrageopportunities such as profiting by price differences on differentmarkets might be spotted and executed, or key market information fromthe various interchangeable markets may be displayed on one interface.

An “autospreader” is used in this application to illustrate aspects ofthe preferred embodiment. The autospreader is a trading software toolthat generates a synthetic market at a trader's workstation or gatewayfrom real markets. The autospreader is described in U.S. patentapplication Ser. No. 10/137,979, entitled, “A System and Method forPerforming Automatic Spread Trading” the contents of which isincorporated by reference herein. It should be understood, however, thatthe present invention is not limited for use with the autospreader,which will become more apparent to one of ordinary skill in the art fromthe following description.

Other systems, methods, features, and advantages of the presentembodiments will be or become apparent to one with skill in the art uponexamination of the following drawings and description. It is intendedthat all such additional systems, methods, features, and advantages bewithin the scope of the present invention, and be protected by theaccompanying claims.

II. System Architecture

As will be appreciated by one of ordinary skill in the art, thepreferred embodiments may be operated in an entirely softwareembodiment, in an entirely hardware embodiment, or in a combinationthereof. For example, in a software embodiment, the preferredembodiments may take the form of a computer program product that isstored on a computer readable storage medium and is executed by asuitable instruction execution system. Any suitable computer readablestorage medium may be utilized including hard disks, CD-ROMs, opticalstorage devices, or magnetic storage devices, for example. In a hardwareembodiment, the preferred embodiments may be implemented using anytechnology or hardware components such as application specificintegrated circuits (ASICs).

With reference to FIG. 2, illustrated is a market comparator 200 alongwith an operating system 202 and hardware components 204 of a computerdevice 206.

Computer device 206 may be comparable to one of the computer terminals104 shown in FIG. 1 such that either one of devices 104, 206 may operateas a trader's workstation, though it will be recognized by those skilledin the art that other computer-based devices (e.g., gateways) may beused to implement the present embodiments. Alternatively, components ofthe preferred embodiments may reside at a cluster of computer-baseddevices that work together to perform the functions described herein.

Market comparator 200, operating system 202, and hardware 204 maycommunicate by an internal bus or an equivalent mechanism forcommunication. By way of illustration, computer device 206 may belocated at a trader's desk and it may allow the trader to participate intrading at one or more electronic markets via one or more of a varietyof computer networks. Thus, computer device 206 is able to communicateeither directly or indirectly with one or more electronic exchanges toreceive market information and transmit transaction information.

Market comparator 200 preferably comprises a software program to assistin performing the functions described herein. As such, it is preferablyimplemented by a C+ or C++ based software program, though other suitableprogram languages can be utilized such as Java. Market comparator 200may be used with other software applications such as an autospreadersoftware tool (not shown in the figure). Autospreader may be part of atrading application which allows a trader to view market information,enter and cancel trade orders and/or view orders through a graphicaluser interface, for example. A commercially available tradingapplication is X_TRADER® from Trading Technologies International, Inc.of Chicago, Ill. X_TRADER® also provides an electronic tradinginterface, referred to as MD_TRADER™, in which working orders and/or bidand ask quantities are displayed in association with a common priceaxis. X_Trader and MD_Trader are described in U.S. patent applicationSer. No. 09/590,692, entitled “Click Based Trading with Intuitive GridDisplay of Market Depth” filed Jun. 9, 2000, the contents of which areincorporated herein by reference. The preferred embodiments, however,are not limited to any particular product used.

Operating system 202 may include the software that controls theallocation and usage of hardware resources 204 such as memory, centralprocessing unit (CPU) time, disk space, and peripheral devices (e.g.,keyboard, mouse, display screen, external connections, etc.) connected.Preferably, operating system 202 operates as the foundation software onwhich the market comparator 200 and autospreader may operate. Exampleoperating systems include Windows 98, Windows 2000, Windows NT, Mac OS,Linux, and UNIX.

III. System Features

The following are features of the preferred embodiment that provideparticular functionalities and utilities to electronic trading. Thefunctionalities include the ability to trade in multiple electronicmarkets through one screen, evaluating market conditions in a variety ofdifferent electronic markets, directing orders to various markets,spotting arbitrage opportunities, displaying price differences, just toname a few. As previously mentioned, to illustrate these features, themarket comparator is used in combination with an autospreader, which isused to generate a synthetic market from which a trader may trade. Then,the market comparator can analyze the synthetic market with otherinterchangeable markets to provide a trader with these additionalbenefits and functionalities. Again, however, it should be noted thatthe present embodiments can work with any tradeable objects and they arenot to be limited for use with the autospreader and/or trading spreads.

With reference to FIG. 3, when beginning a session with theautospreader, a trader from his terminal 300 may first select realmarkets to operate as “legs” of the synthetic market spread. To do this,the trader may look to any electronic exchange, generally shown as 302,and select two or more tradeable objects. Once the legs are selected,the autospreader may receive data feeds 304, which correspond to thelegs, to generate a synthetic market spread 306. By way of illustration,if the autospreader were implemented on the trader's terminal 300, thenonly the trader would see the synthetic market spread 306. If theautospreader is implemented at a gateway (this example is not shown inthe figure), then only those traders connected to the gateway could seethe synthetic spread market. Preferably, the autospreader allows thetrader or traders to enter orders into the synthetic market spread 306,and the autospreader automatically works orders in the real markets ofthe spread to achieve or attempt to achieve the spread differential atexecution. Note that the order entered into the synthetic market spread306 is associated with a spread and preferably refers to a desire to buyor sell the spread at a particular spread price. The actual priceobtained may differ from the desired spread price, especially if “slop”is used. In general, slop provides a tolerance of acceptable prices forwhich the trader is willing to buy or sell a tradeable object. Slop isfurther described in U.S. patent application Ser. No. 10/137,979, thecontents of which have already been incorporated herein by reference.

During this time, electronic exchanges 302 offer other tradeable objectsto trade. Among those tradeable objects are exchange provided spreads.Electronic exchanges generate all sorts of spreads (also referred toherein as real market spreads) some of which are related to other realmarkets offered by the exchange and some of which are not related toother real markets. By trading in any one of these types of real marketspreads, the trader is guaranteed that he will not be “legged up.”Furthermore, let us assume that some real market spreads offer tradeableobjects that are interchangeable with tradeable objects being offered bythe synthetic market spread 306, and therefore, may be tradedinterchangeably. The preferred system has access to theseinterchangeable tradeable objects, and particular to this example, ithas access to real market spread 308, which for the purposes of thisapplication is interchangeable with the synthetic market spread 306.

At this point, it is worth noting that while the real market spread andthe synthetic market spread represent interchangeable tradeable objects,they are not from the same electronic market. (As used herein, the terminterchangeable tradeable objects may also include tradeable objectsthat are semi-interchangeable). Accordingly, they do not necessarilyshare the same market information, as they may not be derived in thesame manner. In fact, in this example, we know that the synthetic marketspread was derived from the autospreader and that the real market spreadis offered by an electronic exchange.

Turning now to FIG. 4, a flowchart is shown for illustrating thefunctionality and operation of the system shown in FIG. 2. In addition,the flowchart is described below with reference to the synthetic marketspread 306 and the real market spread 308 from FIG. 3. With reference toFIG. 4, each block may represent a module, segment, or portion of code,which includes one or more executable instructions for implementingspecific logical functions or steps in the process. Alternateimplementations are included within the scope of the preferredembodiment of the present invention in which functions may be executedout of order from that shown or discussed, including substantiallyconcurrently or in reverse order, depending on the functionalityinvolved, as would be understood by those of ordinary skill in the artof the present invention.

At step 400, market comparator 200 locates one or more interchangeablemarkets so that it may efficiently evaluate each real and/or syntheticmarket. For example, market comparator 200 may exhaustively searchelectronic exchanges 302 to find interchangeable real market spreadssuch as real market spread 308. It might do this by matching names oftradeable objects; for example, a “September/December” synthetic marketspread may be interchangeable with a “September/December” real marketspread. Guidelines might be input by a trader to assist the preferredembodiments in locating the correct markets. Alternatively, the tradermay provide market comparator 200 with one or more interchangeablemarket spreads including real market spread 308. The trader might dothis by manually selecting electronic markets from a graphical userinterface, for example.

At step 402, a signal is received by market comparator 200 indicating adesire to buy or sell in the synthetic market spread. In other words, anorder has been initiated. When an order is initiated, it preferablymeans that according to the trader he/she has just “sent” the order tothe exchange, although according to the computer software the ordermessage has not yet left the computer system. At this point in theprocess, there is a desire to buy or sell a certain tradeable object ata desired price and market comparator 200 intercepts this orderinformation. Alternatively, a signal is received by market comparator200 indicating a desire to buy or sell in the real market spread (e.g.,the trader might wish to send an order to the real market spread,instead of, or in addition to, sending an order to the synthetic marketspread).

Note again that an order indicating a desire to buy or sell in thesynthetic market spread preferably refers to a desire to buy or to sellthe spread at the desired spread price such that computer software suchas the autospreader attempts to achieve a price based on the desiredspread price by automatically sending and managing one or more orders inthe one or more underlying legs. As step 402, however, the computersoftware has not yet sent an order into a leg (e.g., a real market atthe electronic exchange) of the synthetic market.

At step 404, market comparator 200 preferably analyzes one or moremarket conditions in the real market spread and the synthetic marketspread. Conditions might include the inside market, only the best bidprice or quantity, only the best ask price or quantity, the last tradedprice, the last traded quantity, more/less quantities in the real marketspread versus the synthetic market spread, or some other condition orparameter preferably set by the trader.

At step 406, based on the evaluation market comparator 200 preferablydetermines whether to direct the order from buying or selling in thesynthetic market spread to buying or selling in the real market spread,or alternatively, to send orders to both markets (sending orders tomultiple markets is illustrated with respect to FIG. 5). Marketcomparator 200 preferably looks to data that represents the syntheticmarket, which may have been generated by the autospreader, and itpreferably looks to data that represents the real markets listed atexternal electronic exchanges. In the preferred embodiments, the firstorder may be directed (and sent over one or more networks) to the realmarket when it is most desirable for the trader to do so. Conditions maybe programmed by the trader to be used in this determination. Here aresome examples:

(1) The condition relates to the best price. Assume that the real marketspread has a highest bid price that is lower than the highest bid pricefor the synthetic market spread. In this case, for example, it might bemore desirable to send a buy order to the real market spread with abetter hope of being filled faster or being filled at a better price. Onthe other hand, for example, assume that the real market spread has alowest ask price that is higher than the lowest ask price for thesynthetic market spread. In this case, for example, it might be moredesirable to send a sell order to the real market spread with a betterhope of being filled faster or being filled at a better price.

(2) The condition relates to the quantity available. Assume that thereal market spread has much less quantity than the synthetic marketspread. In this case, for example, it might be more desirable not tosend an order to the real market spread as there is not enough quantityto fill the order.

It should also be understood that the preferred embodiments might takeinto account additional pieces of information to determine whether tosend an order to a real market or even whether to change the order inthe real market to a different price. For example, a trader mightprogram the preferred embodiments to send orders in both markets (e.g.,synthetic and real) to see which order is filled first. Once an orderfills in one market, then the preferred embodiments may be programmed toattempt to delete the other unfilled order. In another example, if atrader is using the autospreader with the slop option “on,” then thepreferred embodiments may be programmed to automatically adjust a priceof an order in the real market in a similar fashion. So, for example, ifthe trader has a synthetic order to buy at “100+/−2” (slop in thisexample refers to +/−2 ticks) then, a buy order might be sent to thereal market at “102” instead of “100.” In another example, if a buyorder already exists in the real market at “100,” then the preferredembodiments may move the buy order in market from “100” to “102.”

FIG. 5 shows another flowchart for illustrating alternative operation ofthe system shown in FIG. 2. At step 500, a signal is received toinitiate an order in the synthetic market spread 306. At step 502, thereal market spread is evaluated by market comparator 200. Accordingly,market comparator 200 sends an order with the same order parameters(e.g., price and quantity) to both markets including the syntheticmarket spread and the real market spread, per step 504. That way, thereis a better chance of the order being filled. Under this scenario, theunfilled order in either market is deleted (or attempted to be deleted)when one of the orders is filled. Market comparator 200 may adjust theorders as they rest in the markets. For example, if there is an orderfor “10” in both markets and “5” is filled in the real market, thenmarket comparator 200 may delete “5” of the “10” in the syntheticmarket.

Preferably, the trader can configure the market comparator 200 to sendorders to the real and/or synthetic markets at different times, to sendorders to the markets for different quantities and/or for differentprices, or to send orders based to the markets where the orderparameters are based on some formula, for example. In other words, it ispreferable that the trader may configure the operation of the marketcomparator 200 to behave a particular way when opportunities arespotted. For example, the operation may be configured by typing optionsinto a graphical user interface such as a visual (and audio, if sodesired) computer environment running on the trading terminal thatrepresents options with graphical images, such as icons, menus, anddialog boxes on the screen. Then, the trader can select and activatethese options by pointing and clicking with a mouse, with the keyboard,or through some other input device. Alternatively, a spreadsheet may beused to implement formula-based strategies.

For example, with reference to FIG. 5, market comparator 200 maydetermine that there is an arbitrage opportunity between the markets 306and 308. In particular, if the lowest ask price of the real marketspread 308 is lower than the highest bid price for the synthetic marketspread 306, then the market comparator may send an order to buy at thelowest ask price in the real market spread 308 and an opposite order tosell at the highest bid price of the synthetic market spread 306.Alternatively, if the highest bid price of the real market spread 308 ishigher than the lowest ask price for the synthetic market spread 306,then market comparator 200 may send an order to buy at the lowest askprice in the synthetic market spread 306 and an opposite order to sellat the highest bid price of the real market spread 308.

FIG. 6 illustrates a screen display and order entry system in accordancewith the preferred embodiments. In particular, the current inside marketof the synthetic market spread is shown in one screen display that isgenerally indicated as 600. The display 600 is a preferred display as itsimplifies the trading system by entering and tracking marketinformation in an efficient manner, though the present invention is notlimited to a display. This type of display arranges market informationin an easy to read fashion by orienting the bid quantities and askquantities along a common price axis that move relative to the commonprice axis. Bid quantities are shown in column 602 and ask quantitiesare shown in column 604. The representative prices for the giventradeable object are shown in price column 606, where the prices arearranged in numerical order in increments. In the example shown, thesynthetic market spread has a highest bid price at “79” and a lowest askprice at “82.” Other market information for the synthetic market spreadmay be shown, but has been left out for ease of illustration. Thedisplay allows a trader to enter orders directly into the display byselecting a price along the common axis, for example. Then, an orderwould be initiated with a preset quantity and the selected price.

Display screen 600 may be displayed to the trader at computer device 206to show the synthetic market spread that is generated by theautospreader, for example. Sometimes, a trader prefers looking at themarket information in which he/she is trading along with the legs of thespread. However, some traders try to limit the amount of screen spaceused by such displays.

A second display is also shown, which displays a real market spreadgenerally indicated as 608. It is not necessary for the second displayto be shown to the trader, but it is shown in the figure for purposes ofexplanation; showing the real market spread via display 608 might takeup too much valuable screen space and therefore can be left off thescreen. The second display is similar in format to the first display,except the market information corresponds to the real market and not thesynthetic market. In the example shown, the real market has a highestbid price at “77” and a lowest ask price at “78.”

According to the preferred embodiments, indicators 610, 612 may bedisplayed on the first display 600 to highlight the inside market of thereal market spread. The trader may use these indicators 610, 612 to helpin the decision making process. More specifically, indicator 610highlights the highest bid price for the real market spread andindicator 612 highlights the lowest ask price for the real marketspread.

With reference to screen display 600, it can be easily seen that anarbitrage opportunity exists. In other words, if programmed by thetrader to act, market comparator 200 may automatically send a sell orderat “79” in the synthetic market and send a buy order at “78” in the realmarket for some preset quantity (e.g., a quantity of “10” would bepreferred in this example as the real market only has “10” available at“78”). By activating market comparator 200, a trader may easily identifysuch opportunities by simply looking to one display and marketcomparator 200 may be programmed to take immediate action into othermarkets.

In yet another embodiment, the available market information, includingone or more levels of market depth, from the synthetic and real marketspreads may be displayed in a single display window. That way, a tradermay simply view one display, and the bid and ask quantities for eachmarket spread would appear in the display along the same common priceaxis. It is envisioned that the trader could trade from the singledisplay and orders would be routed to the appropriate spread marketusing techniques described herein. Then, multiple trading displays wouldnot be necessary as all of the information is set forth in one display.Systems and methods that illustrate the integration of marketinformation from various tradeable objects into a single screen aredescribed in U.S. patent application Ser. No. 10/293,585, entitled“Method, Apparatus and Interface for Trading Multiple TradeableObjects,” filed on Nov. 12, 2002, the contents of which are incorporatedby reference herein.

IV. Conclusion

The preferred embodiments assist the trader by evaluating other marketsthat are interchangeable with the presently traded one. Using thepreferred embodiments, a trader can simply trade in one of the markets,while the preferred system performs the rest by ensuring the trader thathis/her orders are going in to the best market for execution. Thepreferred embodiments work with all varieties of tradeable objects andmarkets. For example, the preferred embodiments may work similarly withonly real markets, a combination of real and synthetic markets (such asthe example with the autospreader illustrated above), or with onlysynthetic markets. An advantage of the preferred embodiments accordingto a particular use is that when a trader is trading a syntheticallycreated market, the preferred embodiments may evaluate real markets toensure that the trader is not missing any market opportunities, whichmay be unique to the real markets.

In addition, the preferred embodiments may highlight market informationto the trader in a display without requiring displaying marketinformation for all of the linked markets to the trader on a screen ongenerally limited space. Then, the trader can easily see and determinethe movement in all linked markets and make trading decisions based onthat information.

Another advantage is that the preferred embodiments may be programmed inany particular way to implement a trader's unique trading strategy. Forexample, orders may be sent only to buy/sell a synthetic tradeableobject, orders may be sent to buy/sell both a synthetic tradeable objectand an interchangeable real tradeable object, or orders may just be sentto the real tradeable object. In addition, order parameters such asprice and quantity may be determined by the preferred system based onthe trader's programmed instructions. For example, the orders sent tothe various markets may be for the same price and quantity, for adifferent price based on a multiplier or some other formula such asbased on slop, or for a different quantity based on a multiplier or someother formula. The point being that one skilled in the art willappreciate the programmable flexibility offered by the preferredembodiments.

It should be understood that the above description of the preferredembodiments, alternative embodiments, and specific examples are given byway of illustration and not limitation. For example, the featuresdescribed herein could be incorporated into a variety of displays. Manychanges and modifications within the scope of the present embodimentsmay be made without departing from the spirit thereof, and the presentinvention includes all such changes and modifications.

1. (canceled)
 2. A system including: a computing device, wherein thecomputing device is configured to determine a first price for which aspread can be bought or sold in a first spread market and a second pricefor which the spread can be bought or sold in a second spread market,wherein the spread is associated with a first real market and a secondreal market, wherein the first and second real markets are offered by atleast one electronic exchange, wherein the first spread market and thesecond spread market offer interchangeable tradeable objects, whereinthe first spread market is a synthetic spread market that is generatedoutside of an electronic exchange and associated with the first realmarket and the second real market, wherein the second spread market isan exchange-provided spread market that is also associated with thefirst real market and the second real market; wherein the computingdevice is configured to determine, in response to receiving a command tobuy or sell the spread, whether to buy or sell in the first spreadmarket, buy or sell in the second spread market, or buy or sell in boththe first and second spread markets based on the determined first priceand the determined second price; and wherein the computing device isconfigured to send, in response to receiving the command, one of: afirst spread market order for at least one of the first and second realmarkets when it is determined to buy or sell in the first spread market,a second spread market order for the exchange-provided spread marketwhen it is determined to buy or sell in the second spread market, or afirst spread market order for at least one of the first and second realmarkets and a second spread market order for the exchange-providedspread market when it is determined to buy or sell in both the first andsecond spread markets.
 3. The system of claim 2, wherein the computingdevice is configured to receive a first data feed from an electronicexchange for the first real market; wherein the computing device isconfigured to receive a second data feed from an electronic exchange forthe second real market; and wherein the computing device is configuredto receive a third data feed from an electronic exchange for theexchange-provided spread market.
 4. The system of claim 3, wherein thecomputing device is configured to generate the synthetic spread marketfrom the first and second data feeds.
 5. The system of claim 2, whereinat least one of the first price and the second price is determined basedon a quantity available.
 6. The system of claim 2, wherein the commandis a manual instruction from a user input device.
 7. The system of claim2, wherein the command is an automatic instruction from an automatedtrading tool.
 8. The system of claim 2, wherein the computing deviceincludes a computer terminal.
 9. The system of claim 2, wherein thecomputing device includes a gateway.
 10. The system of claim 2, whereinthe computing device includes a cluster of computing devices.
 11. Thesystem of claim 2, wherein the first real market is at the sameelectronic exchange as the second real market.
 12. The system of claim2, wherein the first real market is at a different electronic exchangethan the second real market.
 13. The system of claim 2, wherein thecomputing device is configured to determine to buy or sell in the firstspread market when the determined first price is better than thedetermined second price.
 14. The system of claim 2, wherein thecomputing device is configured to determine to buy or sell in the secondspread market when the determined second price is better than thedetermined first price.
 15. The system of claim 2 wherein the computingdevice is configured to determine whether to buy or sell in the firstspread market, buy or sell in the second spread market, or buy or sellin both the first and second spread markets based on quantity availablein at least one of the first spread market and the second spread market.16. The system of claim 2, wherein the computing device is configured tosend a message to delete a portion of the first spread market order whena partial fill is received for the second spread market order; andwherein the computing device is configured to send a message to delete aportion of the second spread market order when a partial fill isreceived for the first spread market order.
 17. The system of claim 2,wherein the interchangeable tradeable objects includesemi-interchangeable tradeable objects.
 18. The system of claim 2,wherein the computing device is configured to determine the at least oneof the first spread market and the second spread market based at leastin part on a user input.